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Re: st: Unobserved heterogeneity in logistic regression


From   Richard Williams <Richard.A.Williams.5@ND.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Unobserved heterogeneity in logistic regression
Date   Mon, 30 Jan 2006 11:09:36 -0500

At 10:43 AM 1/30/2006, daniel waxman wrote:
Maartin Buis directed me to a short paper of his:  "Unobserved heterogeneity
in logistic regression":

http://home.fsw.vu.nl/m.buis/

The concept makes sense--the question is what to do about it.
Allison has a paper on this which includes a proposed solution:

Allison, P.D. 1999a. Comparing logit and probit coefficients across groups. SMR/Sociological Methods & Research 28(2): 186-208.

Glenn Hoetker has a working paper that discusses Allison's method:

CONFOUNDED COEFFICIENTS: EXTENDING RECENT ADVANCES IN THE ACCURATE COMPARISON OF LOGIT AND PROBIT COEFFICIENTS ACROSS GROUPS

It is at

http://www.business.uiuc.edu/ghoetker/documents/Hoetker_comp_logit.pdf

Hoetker also has a Stata program that implements Allison's method. From within Stata type

net from http://www.business.uiuc.edu/ghoetker

Having said all that - I think both Allison and Hoetker do a great job of illustrating the problem - but I think Allison's solution has problems of its own. I think it can be easily fooled and offer misleading and incorrect results under certain conditions. Unfortunately, I haven't been able to come up with anything better yet! I too would be interested in hearing if there are other solutions out there.



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Richard Williams, Notre Dame Dept of Sociology
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